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subject:"Sampling"
subject:"Stichprobenerhebung"
~person:"Francq, Christian"
~person:"Hafner, Christian M."
~subject:"ARCH model"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Sampling
Stichprobenerhebung
ARCH model
Statistische Verteilung
Estimation theory
83
Schätztheorie
83
ARCH-Modell
42
Theorie
26
Theory
26
Time series analysis
22
Zeitreihenanalyse
22
Volatility
19
Volatilität
19
Estimation
17
Schätzung
17
Maximum likelihood estimation
12
Maximum-Likelihood-Schätzung
12
Correlation
8
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8
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7
Multivariate analysis
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Börsenkurs
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Linear algebra
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Nichtparametrisches Verfahren
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Share price
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Forecasting model
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Prognoseverfahren
4
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3
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English
43
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Francq, Christian
Hafner, Christian M.
Phillips, Peter C. B.
25
Zakoïan, Jean-Michel
24
Linton, Oliver
20
Teräsvirta, Timo
19
McAleer, Michael
17
Einmahl, John H. J.
16
Rahbek, Anders
16
Ardia, David
15
Chernozhukov, Victor
14
Koopman, Siem Jan
14
Kumar, Dilip
14
Engle, Robert F.
13
Lucas, André
13
Mykland, Per A.
13
Sheppard, Kevin
13
Audrino, Francesco
12
Brakel, Jan A. van den
11
Bauwens, Luc
10
Härdle, Wolfgang
10
Linton, Oliver B.
10
Shephard, Neil G.
10
Silvennoinen, Annastiina
10
White, Halbert
10
Wu, Ximing
10
Aït-Sahalia, Yacine
9
Carnero, M. Angeles
9
Fiorentini, Gabriele
9
Gao, Jiti
9
Horowitz, Joel
9
Imbens, Guido
9
Ling, Shiqing
9
Pedersen, Rasmus Søndergaard
9
Sentana, Enrique
9
Trojani, Fabio
9
Andrews, Donald W. K.
8
Bandi, Federico M.
8
Chen, Xiaohong
8
Corradi, Valentina
8
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Econometrisch Instituut <Rotterdam>
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Journal of econometrics
10
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7
CORE discussion papers : DP
4
Econometric theory
3
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2
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2
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2
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2
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2
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1
Econometric analysis of financial and economic time series ; part a
1
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1
Econometrics papers
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ECONIS (ZBW)
43
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
3
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
4
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
5
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
6
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
7
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
8
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
9
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2016
Persistent link: https://www.econbiz.de/10011589493
Saved in:
10
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
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